Uniform Integrability - Relation To Convergence of Random Variables

Relation To Convergence of Random Variables

  • A sequence converges to in the norm if and only if it converges in measure to and it is uniformly integrable. In probability terms, a sequence of random variables converging in probability also converge in the mean if and only if they are uniformly integrable. This is a generalization of the dominated convergence theorem.

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